Probability Analysis: Tools for SPY Options Pricing

Hover over any point on the chart to see the probability of expiring above that strike price!

Expected Move Formula

\( EM = S \times \sigma \times std \times \sqrt{\tfrac{DTE}{365}} \)

SPY Expected Move

Expiration Sep 25 (1D) Sep 26 (2D) Sep 29 (5D) Sep 30 (6D) Oct 01 (7D) Oct 02 (8D) Oct 03 (9D) Oct 06 (12D) Oct 07 (13D) Oct 08 (14D) Oct 10 (16D) Oct 17 (23D) Oct 24 (30D) Oct 31 (37D) Nov 07 (44D) Nov 14 (51D) Nov 21 (58D) Nov 28 (65D) Dec 05 (72D) Dec 12 (79D) Dec 19 (86D) Dec 26 (93D)
lower 655.025 652.655 647.954 646.733 645.610 644.565 643.584 640.929 640.120 639.341 637.864 633.311 629.413 625.949 622.800 619.893 617.180 614.626 612.206 609.901 607.697 605.580
upper 666.465 668.835 673.536 674.757 675.880 676.925 677.906 680.561 681.370 682.149 683.626 688.179 692.077 695.541 698.690 701.597 704.310 706.864 709.284 711.589 713.793 715.910
expected move 5.720 8.090 12.791 14.012 15.135 16.180 17.161 19.816 20.625 21.404 22.881 27.434 31.332 34.796 37.945 40.852 43.565 46.119 48.539 50.844 53.048 55.165
Nianguang Zhao '25G, Master's in Financial Engineering at Lehigh University | Aspiring Quant | Cleared CFA Level 1
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